AMZN Options History — February 2012

In February 2012, AMZN traded between $8.93 and $9.58. ATM implied volatility averaged 30.8%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 11.3% (HV 20d: 42.1%). Max pain ranged from $9.00 to $9.50. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2012-02-01: Highest Volume — 6,324,260 contracts
  • 2012-02-08: Largest IV drop — 19.6% change
  • 2012-02-01: Highest IV Rank — 13.3%
  • 2012-02-16: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.16$8.93$9.58$8.97$8.98
Max Pain$9.19$9.00$9.50$9.50$9.25
ATM IV30.8%25.2%37.0%37.0%31.2%
Expected Move8.6%7.7%9.5%9.3%8.2%
HV 20d42.1%39.4%43.7%42.2%41.1%
HV 60d38.7%35.0%40.6%39.6%35.2%
IV Rank8.1%3.2%13.3%13.3%8.4%
IV Percentile28.6%2.4%54.0%54.0%31.7%
Term Structure1.4%-0.1%2.6%-0.1%1.9%
VWIV30.7%27.6%34.0%33.5%29.1%
Skew 25d3.6%2.3%4.7%2.3%3.1%
Skew 10d7.8%5.0%11.2%5.0%6.0%
Call IV 25d28.8%26.1%31.9%31.9%28.2%
Put IV 25d32.5%29.5%36.5%34.2%31.3%
Bid-Ask Spread %5.283.0016.173.005.52
Gamma HHI0.100.070.150.120.09
Net GEX1.9M-44.9M37.0M-44.9M-8.8M
Net DEX80.4M-600.1M750.1M750.1M237.4M
Net VEX-8.8M-9.6M-7.0M-7.0M-8.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.741.381.011.02
Total Volume2,149,827887,5006,324,2606,324,2601,397,200
Total OI8,802,8007,181,96010,211,6009,366,2208,205,120

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$8.97$9.5037.0%9.3%42.2%13.3%33.5%2.3%-0.1%-44.9M750.1M-7.0M1.013.00N/AN/A3,141,6203,182,6405,022,3404,343,880
2012-02-02$9.09$9.2531.9%8.9%42.3%9.0%31.8%2.7%1.2%-13.8M344.3M-7.8M0.953.85N/AN/A1,357,6401,287,4605,512,2004,699,400
2012-02-03$9.38$9.0028.4%8.7%43.7%6.0%31.2%3.7%1.2%19.2M-303.3M-8.0M0.883.95N/AN/A1,554,5801,374,2605,509,8004,698,860
2012-02-06$9.16$9.0033.3%8.8%43.7%10.2%31.3%2.7%0.9%3.3M147.9M-7.6M1.383.66N/AN/A811,2001,120,9804,087,8003,884,440
2012-02-07$9.21$9.0034.1%8.4%42.9%10.9%30.0%3.6%1.3%4.4M118.4M-7.7M1.164.06N/AN/A813,460945,8804,239,8204,150,060
2012-02-08$9.27$9.0027.4%8.2%42.9%5.1%29.3%4.0%1.3%17.2M-73.1M-8.3M0.854.33N/AN/A1,170,380991,9004,503,2404,348,060
2012-02-09$9.25$9.0029.3%8.4%42.9%6.8%30.2%3.3%1.4%12.7M-53.7M-9.2M0.854.47N/AN/A786,400672,2404,739,7404,632,100
2012-02-10$9.28$9.0030.6%8.8%42.4%7.9%31.1%3.4%1.8%33.0M-167.5M-9.2M1.197.00N/AN/A996,5001,189,0804,769,6004,655,720
2012-02-13$9.58$9.2530.1%8.6%43.5%7.5%30.5%3.4%1.2%37.0M-600.1M-9.4M0.746.53N/AN/A1,117,360829,8604,585,5404,409,680
2012-02-14$9.56$9.2530.5%8.7%43.2%7.8%31.1%3.9%1.4%34.9M-538.2M-9.6M1.0516.17N/AN/A1,338,3601,401,2404,688,8004,511,820
2012-02-15$9.22$9.2532.6%9.3%42.7%9.6%32.8%4.1%0.8%-6.1M64.4M-9.6M1.115.87N/AN/A1,266,8001,410,1404,808,6004,711,100
2012-02-16$9.00$9.2533.3%9.5%42.2%10.2%34.0%4.6%0.7%-35.6M491.9M-9.4M0.985.04N/AN/A1,585,3001,556,6204,905,4404,830,680
2012-02-17$9.13$9.2531.1%8.9%42.3%8.3%32.0%4.4%1.7%2.3M115.1M-9.4M1.174.58N/AN/A788,200919,2005,079,8604,930,360
2012-02-21$9.11$9.2530.8%8.8%41.3%8.1%31.0%4.7%1.5%1.3M88.9M-9.1M1.124.28N/AN/A644,720719,4803,533,9603,648,000
2012-02-22$9.03$9.2529.3%8.4%41.4%6.8%30.1%3.5%1.8%-8.4M202.0M-9.1M1.054.83N/AN/A538,720563,6003,706,2403,864,500
2012-02-23$8.94$9.2528.7%8.2%41.4%6.3%30.1%3.6%2.2%-17.2M318.1M-9.1M1.124.18N/AN/A828,740925,0003,828,0404,000,220
2012-02-24$8.96$9.2525.2%7.7%39.8%3.2%27.6%3.4%2.6%-2.3M288.9M-9.0M1.034.65N/AN/A640,840657,1204,021,6804,146,280
2012-02-27$8.93$9.2529.3%7.9%39.4%6.7%28.3%4.0%2.2%-5.0M275.5M-8.8M0.845.00N/AN/A482,220405,2803,867,6203,976,680
2012-02-28$9.19$9.2532.2%8.1%40.8%9.3%29.7%3.9%1.2%15.0M-99.4M-9.2M0.784.59N/AN/A892,020692,3003,938,7004,060,020
2012-02-29$8.98$9.2531.2%8.2%41.1%8.4%29.1%3.1%1.9%-8.8M237.4M-8.9M1.025.52N/AN/A690,060707,1404,009,1604,195,960